Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints

This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein (2002). The price is determined by two optimal stochastic control problems (mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations. By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates. The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.Comment: 28 pages in Science China Mathematics, 201

Dynkin Game of Convertible Bonds and Their Optimal Strategy

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian setting, we investigate the optimal strategy by analyzing the properties of the corresponding free boundary, including its position, asymptotics, monotonicity and regularity. We identify situations when call precedes conversion, and vice versa. Moreover, we show that the irregular payoff results in the possibly non-monotonic conversion boundary. Surprisingly, the price of the convertible bond is not necessarily monotonic in time: it may even increase when time approaches maturity.Comment: 28 pages, 9 figures in Journal of Mathematical Analysis and Application, 201

Study on Resource Configuration on Cloud Manufacturing

The purpose of manufacturing is to realize the requirement of customer. In manufacturing process of cloud system, there exist a lot of resource services which have similar functional characteristics to realize the requirement. It makes the manufacturing process more diverse. To develop the quality and reduce cost, a resource configuration model on cloud-manufacturing platform is put forward in this paper. According to the generalized six-point location principle, a growth design from the requirement of customers to entities with geometric constraints is proposed. By the requirement growing up to product, a configuration process is used to match the entities with the instances which the resources in the database could supply. Different from most existing studies, this paper studies the tolerance design with multiple candidate resource suppliers on cloud manufacturing to make the market play a two-level game considering the benefit of customers and the profit of resources to give an optimal result. A numerical case study is used to illustrate the proposed model and configuration process. The performance and advantage of the proposed method are discussed at the end

Identification and Heterologous Reconstitution of a 5-Alk(en)ylresorcinol Synthase from Endophytic Fungus \u3ci\u3eShiraia\u3c/i\u3e sp. Slf14

A new type III polyketide synthase gene (Ssars) was discovered from the genome of Shiraia sp. Slf14, an endophytic fungal strain from Huperzia serrata. The intron-free gene was cloned from the cDNA and ligated to two expression vectors pET28a and YEpADH2p-URA3 for expression in Escherichia coli BL21(DE3) and Saccharomyces cerevisiae BJ5464, respectively. SsARS was efficiently expressed in E. coli BL21(DE3), leading to the synthesis of a series of polyketide products. Six major products were isolated from the engineered E. coli and characterized as 1,3-dihydroxyphenyl-5-undecane, 1,3-dihydroxyphenyl-5-cis-6\u27-tridecene,1,3-dihydroxyphenyl-5-tridecane, 1,3-dihydroxyphenyl-5-cis-8\u27-pentadecene, 1,3-dihydroxyphenyl-5-pentadecane and 1,3-dihydroxyphenyl-5-cis-10\u27-heptadecene, respectively, based on the spectral data and biosynthetic origin. Expression of SsARS in the yeast also led to the synthesis of the same polyketide products, indicating that this enzyme can be reconstituted in both heterologous hosts. Supplementation of soybean oil into the culture of E. coli BL21(DE3)/SsARS increased the production titers of 1-6 and led to the synthesis of an additional product, which was identified as 5-(8\u27Z,11\u27Z-heptadecadienyl)resorcinol. This work thus allowed the identification of SsARS as a 5-alk(en)ylresorcinol synthase with flexible substrate specificity toward endogenous and exogenous fatty acids. Desired resorcinol derivatives may be synthesized by supplying corresponding fatty acids into the culture medium

Overvoltage and Insulation Coordination of Overhead Lines in Multiple-Terminal MMC-HVDC Link for Wind Power Delivery

The voltage-sourced converter-based HVDC link, including the modular multilevel converter (MMC) configuration, is suitable for wind power, photovoltaic energy, and other kinds of new energy delivery and grid-connection. Current studies are focused on the MMC principles and controls and few studies have been done on the overvoltage of transmission line for the MMC-HVDC link. The main reason is that environmental factors have little effect on DC cables and the single-phase/pole fault rate is low. But if the cables were replaced by the overhead lines, although the construction cost of the project would be greatly reduced, the single-pole ground fault rate would be much higher. This paper analyzed the main overvoltage types in multiple-terminal MMC-HVDC network which transmit electric power by overhead lines. Based on ±500 kV multiple-terminal MMC-HVDC for wind power delivery project, the transient simulation model was built and the overvoltage types mentioned above were studied. The results showed that the most serious overvoltage was on the healthy adjacent line of the faulty line caused by the fault clearing of DC breaker. Then the insulation coordination for overhead lines was conducted according to the overvoltage level. The recommended clearance values were given

Optimization of Extraction Process of Polysaccharide from Black Corn Kernel by Response Surface Method and Analysis of Its Antioxidant Activity

In order to explore the optimum extraction process of polysaccharide and antioxidant activity in vitro in black corn kernel. In this study, black corn kernel was used as raw material, ultrasonic-assisted extraction was applied to extract polysaccharides from black corn kernel. To explore the effects of ultrasonic power, solid-liquid ratio, extraction time, temperature and frequency on the yield of polysaccharide. The extraction process of polysaccharide from black corn kernel was optimized by response surface methodology. Besides, the antioxidant activity of the polysaccharide was investigated by measuring its scavenging ability on DPPH·, ABTS+·, and ·OH. The results showed that the extraction yield of polysaccharide from black corn kernel could reach up to 41.09%±0.59%, in these conditions: The solid-liquid ratio was 1:20 g/mL, the extraction temperature was 74 ℃, the extraction time was 60 min and the extraction frequency was 3 times. The IC50 values of scavenging rates on DPPH·, ABTS+· and ·OH were 1.959, 1.529 and 0.3554 mg/mL, respectively. Moreover, the scavenging rates showed a certain dose-effect relationship with the sample concentration, indicating that the polysaccharide had a strong antioxidant activity, thus providing a theoretical basis for further research and utilization

RNA-binding protein CUGBP1 regulates insulin secretion via activation of phosphodiesterase 3B in mice

International audienceAims/hypothesis: CUG-binding protein 1 (CUGBP1) is a multifunctional RNA-binding protein that regulates RNA processing at several stages including translation, deadenylation and alternative splicing, as well as RNA stability. Recent studies indicate that CUGBP1 may play a role in metabolic disorders. Our objective was to examine its role in endocrine pancreas function through gain- and loss-of-function experiments and to further decipher the underlying molecular mechanisms.Methods: A mouse model in which type 2 diabetes was induced by a high-fat diet (HFD; 60% energy from fat) and mice on a standard chow diet (10% energy from fat) were compared. Pancreas-specific CUGBP1 overexpression and knockdown mice were generated. Different lengths of the phosphodiesterase subtype 3B (PDE3B) 3′ untranslated region (UTR) were cloned for luciferase reporter analysis. Purified CUGBP1 protein was used for gel shift experiments.Results: CUGBP1 is present in rodent islets and in beta cell lines; it is overexpressed in the islets of diabetic mice. Compared with control mice, the plasma insulin level after a glucose load was significantly lower and glucose clearance was greatly delayed in mice with pancreas-specific CUGBP1 overexpression; the opposite results were obtained upon pancreas-specific CUGBP1 knockdown. Glucose- and glucagon-like peptide1 (GLP-1)-stimulated insulin secretion was significantly attenuated in mouse islets upon CUGBP1 overexpression. This was associated with a strong decrease in intracellular cAMP levels, pointing to a potential role for cAMP PDEs. CUGBP1 overexpression had no effect on the mRNA levels of PDE1A, 1C, 2A, 3A, 4A, 4B, 4D, 7A and 8B subtypes, but resulted in increased PDE3B expression. CUGBP1 was found to directly bind to a specific ATTTGTT sequence residing in the 3′ UTR of PDE3B and stabilised PDE3B mRNA. In the presence of the PDE3 inhibitor cilostamide, glucose- and GLP-1-stimulated insulin secretion was no longer reduced by CUGBP1 overexpression. Similar to CUGBP1, PDE3B was overexpressed in the islets of diabetic mice.Conclusions/interpretation: We conclude that CUGBP1 is a critical regulator of insulin secretion via activating PDE3B. Repressing this protein might provide a potential strategy for treating type 2 diabetes

Effectiveness of adjuvant traditional Chinese medicine on macrovascular invasion in patients with hepatocellular carcinoma: a real-world propensity score-matched study

The study aimed to investigate the potential of traditional Chinese medicine (TCM) in reducing the risk of macrovascular invasion (MVI) in Chinese patients with hepatocellular carcinoma (HCC). This retrospective analysis involved 2,267 HCC patients treated at our hospital. Propensity score (PS) matching was used to compare TCM users (n = 485) with non-users (n = 485) in terms of age, Barcelona Clinic Liver Cancer (BCLC) staging, type of treatment, and AFP. The impact of TCM on the hazard ratio (HR) of MVI was evaluated using a Cox multivariate regression model. The efficacy of TCM therapy on MVI was further examined using the log-rank test. The analysis revealed that TCM medication was a significant protective factor for MVI in HCC patients, as evidenced by the Cox analysis (adjusted HR = 0.496, 95% CI: 0.387–0.635, p < 0.001). After PS matching, the Kaplan-Meier curve demonstrated a lower occurrence rate of MVI in TCM users compared to non-users. The study findings suggest that TCM treatment has the potential to decrease the incidence of MVI in HCC patients, irrespective of etiology, BCLC staging, liver function, or treatment type. Notably, as the use of TCM increased, the percentage of MVI in patients showed a gradual decrease, indicating the potential of TCM therapy as a successful strategy for preventing MVI

Genetic Evaluation of 114 Chinese Short Stature Children in the Next Generation Era: a Single Center Study

Background/Aims: The genetics of human height is a frequently studied and complex issue. However, there is limited genetic research of short stature. To uncover the subgroup of patients to have higher yield and to propose a simplified diagnostic algorithm in the next generation era. Methods: This study included 114 Chinese children with height SDS ≤ -2.5 and unknown etiology from 2014 to 2015. Target/whole exome sequencing (referred as NGS) and chromosomal microarray analysis (CMA) were performed on the enrolled patients sequentially to identify potential genetic etiologies. The samples solved by NGS and CMA were retrospectively studied to evaluate the clinical pathway of the patients following a standard diagnostic algorithm. Results: In total, a potential genetic etiology was identified in 41 (36%) patients: 38 by NGS (33.3%), two by CMA (1.8%), and an additional one by both (0.9%). There were 46 different variants in 29 genes and 2 pathogenic CNVs identified. The diagnostic yield was significantly higher in patients with facial dysmorphism or skeletal abnormalities than those without the corresponding phenotype (P=0.006 and P=0.009, respectively, Pearson’s χ2 test). Retrospectively study the cohort indicate 83.3% patients eventually would be evaluated by NGS/CMA. Conclusion: This study confirms the utility of high-throughput molecular detection techniques for the etiological diagnosis of undiagnosed short stature and suggests that NGS could be used as a primary diagnostic strategy. Patients with facial dysmorphism and/or skeletal abnormalities are more likely to have a known genetic etiology. Moving NGS forward would simplified the diagnostic algorithm